You really think a child is more likely to be abducted by police in NYC than anything else? What are you talking about?
Now imagine there was no parent at all...
On the other hand, child kidnapping by strangers isn't really a common thing. The vast majority of kids going "missing" just did something like going over to play with the neighbour's kids without telling their parents, and the remainder is taken by their own family. Of the roughly 800.000 kids going missing each year, only 100 or so are genuinely abducted by a stranger.
So no, a child being more likely to be abducted by a cop than by a stranger isn't as strange of a claim as it may initially seem.
I'd often see train conductors asking why I was alone and then going "ok, fine" though they would keep an eye on me usually.